English  |  正體中文  |  简体中文  |  Post-Print筆數 : 27 |  Items with full text/Total items : 96741/127401 (76%)
Visitors : 32383236      Online Users : 464
RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.
Scope Tips:
  • please add "double quotation mark" for query phrases to get precise results
  • please goto advance search for comprehansive author search
  • Adv. Search
    HomeLoginUploadHelpAboutAdminister Goto mobile version
    政大機構典藏 > 商學院 > 金融學系 > 期刊論文 >  Item 140.119/135709
    Please use this identifier to cite or link to this item: http://nccur.lib.nccu.edu.tw/handle/140.119/135709

    Title: Analytical Approximations for American Options: The Binary Power Option Approach
    Authors: 江彌修
    Chiang, Mi-Hsiu
    Fu, Hsin-Hao
    Contributors: 金融系
    Keywords: American option;binary power option;early exercise premium
    Date: 2018-09
    Issue Date: 2021-06-10 14:12:02 (UTC+8)
    Abstract: This study proposes an innovative approach to value American options. Using a portfolio of binary power options to replicate the early exercise premium, we modify Medvedev and Scaillet (2010) to derive an analytical approximation of American option values under the Black-Scholes framework. Compared with Medvedev and Scaillet (2010), our approach provides a much simpler functional form of the early exercise premium that can be easily extended to high-order series expansions. The numerical results show that the pricing performance of our method is closely comparable to that of Medvedev and Scaillet (2010) and superior to that of Barone-Adesi and Whaley (1987).
    本研究提出一創新方法評價美式選擇權。利用二元乘冪選擇權之投資組合複製提早履約溢酬,本文在Black-Scholes架構下修改Medvedev and Scaillet (2010)方法,導出美式選擇權價格之解析近似。相較於Medvedev and Scaillet (2010),本研究提供更為簡易之函數型式,並易於應用至高階級數。結果發現,本文方法堪比Medvedev and Scaillet (2010)所呈現之結果,並優於Barone-Adesi and Whaley (1987)。
    Relation: Journal of Financial Studies, Vol.26, No.3, pp.91-116
    Data Type: article
    DOI 連結: http://dx.doi.org/10.6545%2fJFS.201809_26(3).0003
    DOI: 10.6545%2fJFS.201809_26(3).0003
    Appears in Collections:[金融學系] 期刊論文

    Files in This Item:

    File Description SizeFormat
    6.pdf2309KbAdobe PDF14View/Open

    All items in 政大典藏 are protected by copyright, with all rights reserved.

    社群 sharing

    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library IR team Copyright ©   - Feedback